WeightedAverageYieldCurveSegment Class Reference

Weighted average yield curve segment. More...

#include <ored/configuration/yieldcurveconfig.hpp>

Inheritance diagram for WeightedAverageYieldCurveSegment:

Collaboration diagram for WeightedAverageYieldCurveSegment:

Public Member Functions
Constructors/Destructors
	WeightedAverageYieldCurveSegment ()
	Default constructor. More...
	WeightedAverageYieldCurveSegment (const string &typeID, const string &referenceCurveID1, const string &referenceCurveID2, const Real weight1, const Real weight2)
	Detailed constructor. More...
virtual	~WeightedAverageYieldCurveSegment ()
	Default destructor. More...
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const string &	referenceCurveID1 () const
const string &	referenceCurveID2 () const
Real	weight1 () const
Real	weight2 () const
Public Member Functions inherited from YieldCurveSegment
virtual	~YieldCurveSegment ()
	Default destructor. More...
Type	type () const
const string &	typeID () const
const string &	conventionsID () const
const QuantLib::Pillar::Choice	pillarChoice () const
Size	priority () const
Size	minDistance () const
const vector< pair< string, bool > > &	quotes () const
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Visitability
string	referenceCurveID1_
string	referenceCurveID2_
double	weight1_
double	weight2_
virtual void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from YieldCurveSegment
enum class	Type {   Zero , ZeroSpread , Discount , Deposit ,   FRA , Future , OIS , Swap ,   AverageOIS , TenorBasis , TenorBasisTwo , BMABasis ,   FXForward , CrossCcyBasis , CrossCcyFixFloat , DiscountRatio ,   FittedBond , WeightedAverage , YieldPlusDefault , IborFallback ,   BondYieldShifted }
	supported segment types More...
Protected Member Functions inherited from YieldCurveSegment
	YieldCurveSegment ()
	Default constructor. More...
	YieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes)
	Detailed constructor - assumes all quotes are mandatory. More...
pair< string, bool >	quote (const string &name, bool opt=false)
	Utility to build a quote, optional flag defaults to false. More...
Protected Attributes inherited from YieldCurveSegment
vector< pair< string, bool > >	quotes_
	Quote and optional flag pair. More...

Detailed Description

Weighted average yield curve segment.

A weighted average segment is used to build a yield curve from two source curves and weights. The resulting discount factor is the weighted sum of the source curves' discount factors.

Definition at line 389 of file yieldcurveconfig.hpp.

Constructor & Destructor Documentation

WeightedAverageYieldCurveSegment() [1/2]

WeightedAverageYieldCurveSegment

(

)

Default constructor.

Definition at line 394 of file yieldcurveconfig.hpp.

{}

WeightedAverageYieldCurveSegment() [2/2]

WeightedAverageYieldCurveSegment	(	const string &	typeID,
		const string &	referenceCurveID1,
		const string &	referenceCurveID2,
		const Real	weight1,
		const Real	weight2
	)

Detailed constructor.

Definition at line 772 of file yieldcurveconfig.cpp.

    : YieldCurveSegment(typeID, "", {}), referenceCurveID1_(referenceCurveID1), referenceCurveID2_(referenceCurveID2),
      weight1_(weight1), weight2_(weight2) {}

~WeightedAverageYieldCurveSegment()

virtual ~WeightedAverageYieldCurveSegment ( )

virtual

Default destructor.

Definition at line 399 of file yieldcurveconfig.hpp.

{}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 779 of file yieldcurveconfig.cpp.

                                                            {
    XMLUtils::checkNode(node, "WeightedAverage");
    YieldCurveSegment::fromXML(node);
    referenceCurveID1_ = XMLUtils::getChildValue(node, "ReferenceCurve1", true);
    referenceCurveID2_ = XMLUtils::getChildValue(node, "ReferenceCurve2", true);
    weight1_ = XMLUtils::getChildValueAsDouble(node, "Weight1", true);
    weight2_ = XMLUtils::getChildValueAsDouble(node, "Weight2", true);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 788 of file yieldcurveconfig.cpp.

                                                                       {
    XMLNode* node = YieldCurveSegment::toXML(doc);
    XMLUtils::setNodeName(doc, node, "WeightedAverage");
    XMLUtils::addChild(doc, node, "ReferenceCurve1", referenceCurveID1_);
    XMLUtils::addChild(doc, node, "ReferenceCurve2", referenceCurveID2_);
    XMLUtils::addChild(doc, node, "Weight1", weight1_);
    XMLUtils::addChild(doc, node, "Weight2", weight2_);
    return node;
}

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referenceCurveID1()

const string & referenceCurveID1

(

)

const

Definition at line 408 of file yieldcurveconfig.hpp.

{ return referenceCurveID1_; }

referenceCurveID2()

const string & referenceCurveID2

(

)

const

Definition at line 409 of file yieldcurveconfig.hpp.

{ return referenceCurveID2_; }

weight1()

Real weight1

(

)

const

Definition at line 410 of file yieldcurveconfig.hpp.

{ return weight1_; }

weight2()

Real weight2

(

)

const

Definition at line 411 of file yieldcurveconfig.hpp.

{ return weight2_; }

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 798 of file yieldcurveconfig.cpp.

                                                               {
    Visitor<WeightedAverageYieldCurveSegment>* v1 = dynamic_cast<Visitor<WeightedAverageYieldCurveSegment>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        YieldCurveSegment::accept(v);
}

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Member Data Documentation

referenceCurveID1_

string referenceCurveID1_

private

Definition at line 420 of file yieldcurveconfig.hpp.

referenceCurveID2_

string referenceCurveID2_

private

Definition at line 420 of file yieldcurveconfig.hpp.

weight1_

double weight1_

private

Definition at line 421 of file yieldcurveconfig.hpp.

weight2_

double weight2_

private

Definition at line 421 of file yieldcurveconfig.hpp.